Re: Bob Fulks or anyone

["Ray Gurke" <Ray@xxxxxxxxx>]

Thanks, Bob.  Your explanation and sample code is very helpful.

----- Original Message ----- 
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: "Ray Gurke" <Ray@xxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Friday, February 08, 2002 8:20 AM
Subject: Re: Bob Fulks or anyone


> At 3:07 PM -0800 2/6/02, Ray Gurke wrote:
> 
> >Would also appreciate hearing more on what folks are doing in regard to
> >bad-tick filters, as a wild tick could really throw your calcs/signals
> >haywire...
> 
> I have never found a good general purpose solution to the bad-tick
> problem. Ideally, they should be filtered out by the Global Server in
> TS2000i but they aren't.
> 
> If you are looking at the charts before taking a trade, to see it
> they look "normal", then you can be more tolerant. But if you are
> executing trades automatically, you obviously have to be much more
> careful.
> 
> If your system depends upon only the Close of a bar, bad ticks are
> not usually a big problem since there is a small probability that the
> bad tick will be at the Close of the bar. But if you use the High or
> Low of a bar, these will always be affected so you will need a filter.
> 
> You can usually re-write your system to work on higher resolution
> bars and do the filtering there. For example, if your system works on
> 30 minute bars, you can re-write it to work on 5 minute bars and
> still execute the same trades, either by building "synthetic
> 30-minute bars" or by using every 6th bar. It is tricky but usually
> be done. Then, you can look at the 5-minute bars and filter out bad
> values before passing the bars on to the 30 minute system.
> 
> You can even build the system to use 1-tick or N-tick bars to get
> even higher resolution bars but this will require a lot of computing
> power on high-volume symbols such as ES or QQQ. It does work well on
> SPX and NDX where you get four ticks per minute.
> 
> As for the actual filtering, the ideal filter would probably filter
> out ticks that are greater than three or four standard deviations
> away from an average. This requires complex calculations so you can
> usually get by with using a multiple of the mean average deviation.
> You also have to account for gaps between days on an intraday chart.
> 
> To actually account for sudden price changes, you could keep a count
> of the number of consecutive rejected bars so that if that number
> exceeds some number of bars, then you reset things. The following
> code fragment will give you the basic idea:
> 
> 
> if Date <> Date[1] or                    { on a new day or       }
>    bCount > bCntLim then begin           { bad count > limit     }
>       Avg = High;                  { initialize average    }
>    end;
> 
> Dev = AbsValue(High - Avg);              { calculate deviation   }
> 
> if Dev < Mult * MDev then begin          { if not a bad tick     }
>    bCount = 0;                           { reset bad tick counter}
>    xHigh = High;                         { use value             }
>    Avg = Avg + factor1 * (xHigh - Avg);  { update average        }
>    MDev = MDev + factor2 * (Dev - MDev); { update mean deviation }
> end else bCount = bCount + 1;            { inc bad tick counter  }
> 
> 
> Hope this is useful.
> 
> Bob Fulks
>